The shrimp and sweet peppers are sprinkled with Parmesan cheese before grilling. The coating develops a toasty, almost nutty taste that goes beautifully with the sweet shrimp.
Heat gas grill to medium or prepare charcoal grill with medium coals.
In food processor, combine anchovies (if using), 1/4 cup cheese, lemon juice, vinegar, 2 tablespoons water, mustard and Worcestershire sauce. Puree until smooth. With machine running, slowly add oil. Set aside.
In a bowl, combine shrimp, sweet peppers, half of the cheese-lemon juice mixture and the salt and pepper
Slide shrimp on four metal skewers, alternating with peppers. Place remaining peppers on separate skewer. Sprinkle all with 1 tablespoon of the cheese.
Grill skewers 4 minutes. Flip over; top with remaining cheese. Grill 4 minutes or until shrimp turn pink. Serve over rice; drizzled with remaining cheese-lemon juice mixture. Serve with lemon wedges.